Well, I would never advise jumping in with 6 litres of milk on your first day.
I just say that if you are below the weight you want to be, eat more. Wait a few weeks and see what happens.
If you put on weight, great, keep going.
If you eat more and still don't put on weight, eat more still.
If the weight you put is entirely fat, then you have to adjust your training, and if you refuse to, well okay so you put on a couple of kilograms of fat, fine eat less from now on. An extra couple of kgs is not going to kill you.
The thing is that we are not talking about someone eating more and then sitting on the couch watching Oprah. We're talking about more calories in for someone training hard - doesn't have to be Max hard, but 3 sessions a week where you go into the gym and grunt and sweat for 30-60 minutes.
So even if the extra food makes you fat, you'll be fat but strong and fit. Thus the fatness is not a health issue. "Kyle you bastard I don't have six-pack abs anymore!" So what, you'll live.
Whereas if you eat too little and train hard, you'll get skinnier, eating up your own muscle, and might get overtrained and injure yourself in the gym.
Thus, eating too much and training hard = no health problems
eating too little and training hard = possible health problems
So if you are underweight or an average weight, I would always err on the side of eating more rather than less, keeping in mind that you adjust it as you go.